Related papers: Estimating the housing production function with un…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure. The embedded prepayment option bears the same interest rate risk as an exotic interest rate swap with a suitable stochastic…
We introduce a Markov-functional approach to construct local volatility models that are calibrated to a discrete set of marginal distributions. The method is inspired by and extends the volatility interpolation of Bass (1983) and Conze and…
This paper develops a new method for identifying econometric models with partially latent covariates. Such data structures arise in industrial organization and labor economics settings where data are collected using an input-based sampling…
This article analyzes the problem of estimating the time until an event occurs, also known as survival modeling. We observe through substantial experiments on large real-world datasets and use-cases that populations are largely…
Structural equation models are commonly used to capture the relationship between sets of observed and unobservable variables. Traditionally these models are fitted using frequentist approaches but recently researchers and practitioners have…
In this paper, I study the nonparametric identification and estimation of the marginal effect of an endogenous variable $X$ on the outcome variable $Y$, given a potentially mismeasured instrument variable $W^*$, without assuming linearity…
Hierarchical learning models, such as mixture models and Bayesian networks, are widely employed for unsupervised learning tasks, such as clustering analysis. They consist of observable and hidden variables, which represent the given data…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the prop- erties are (approximately) constant for some time and then slowly…
This paper studies the identification and estimation of a nonparametric nonseparable dyadic model where the structural function and the distribution of the unobservable random terms are assumed to be unknown. The identification and the…
Understanding how housing prices respond to spatial accessibility, structural attributes, and typological distinctions is central to contemporary urban research and policy. In cities marked by affordability stress and market segmentation,…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
Epidemic forecasting tools embrace the stochasticity and heterogeneity of disease spread to predict the growth and size of outbreaks. Conceptually, stochasticity and heterogeneity are often modeled as branching processes or as percolation…
The well-established methodology for the estimation of hidden semi-Markov models (HSMMs) as hidden Markov models (HMMs) with extended state spaces is further developed to incorporate covariate influences across all aspects of the state…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…
In developing countries, building codes often are outdated or not enforced. As a result, a large portion of the housing stock is substandard and vulnerable to natural hazards and climate related events. Assessing housing quality is key to…
A landfill represents a complex and dynamically evolving structure that can be stochastically perturbed by exogenous factors. Both thermodynamic (equilibrium) and time varying (non-steady state) properties of a landfill are affected by…
We present simple to implement Wald-type statistics that deliver a general nonparametric inference theory for linear restrictions on varying coefficients in a range of regression models allowing for cross-sectional or spatial dependence. We…
We consider the problem of modeling heterogeneous materials where micro-scale dynamics and interactions affect global behavior. In the presence of heterogeneities in material microstructure it is often impractical, if not impossible, to…
We consider monotonic, multiple regression for a set of contiguous regions (lattice data). The regression functions permissibly vary between regions and exhibit geographical structure. We develop new Bayesian non-parametric methodology…
Nonparametric random coefficient (RC)-density estimation has mostly been considered in the marginal density case under strict independence of RCs and covariates. This paper deals with the estimation of RC-densities conditional on a…